MUSIC and comedy royalty struck a defiant tone in a benefit concert for superstorm Sandy that started on Wednesday and stretched into Thursday morning, asking for help to rebuild a New York metropolitan area most of them know well.

The sold-out Madison Square Garden show was televised, streamed online and aired on radio all over the world.

Producers said up to two billion people could experience the concert live.

"When are you going to learn," comic and New Jersey native Jon Stewart said.

"You can throw anything at us - terrorists, hurricanes. You can take away our giant sodas. It doesn't matter. We're coming back stronger every time."

Jersey shore hero Bruce Springsteen set a roaring tone, opening the concert with Land of Hope and Dreams and Wrecking Ball.

He addressed the rebuilding process in introducing his song My City of Ruins, noting it was written about the decline of Asbury Park, New Jersey, before that city's renaissance over the past decade.

What made the Jersey shore special was its inclusiveness, a place where people of all incomes and backgrounds could find a place, he said.

He mixed a verse of Tom Waits' Jersey Girl into the song before calling New Jersey neighbour Jon Bon Jovi to join him in a rousing Born to Run.

Springsteen later returned the favour by joining Bon Jovi on Who Says You Can't Go Home.

Adam Sandler harkened back to his Saturday Night Live days with a ribald rewrite of the oft-sung Hallelujah that composer Leonard Cohen never would have dreamed.

The rewritten chorus says, "Sandy, screw ya, we'll get through ya, because we're New Yawkers."

Sandler wore a New York Jets T-shirt and mined Donald Trump, Michael Bloomberg, the New York Knicks, Times Square porn and Jets quarterback Mark Sanchez for laugh lines.

The music line-up was heavily weighted toward classic rock, which has the type of fans able to afford a show for which ticket prices ranged from $US150 to $US2500.

Even with those prices, people with tickets have been offering them for more on broker sites such as StubHub, an attempt at profiteering that producers fumed was "despicable".

"This has got to be the largest collection of old English musicians ever assembled in Madison Square Garden," Rolling Stones rocker Mick Jagger said.

"If it rains in London, you've got to come and help us."

In fighting trim for a series of 50th anniversary concerts in the New York area, the Stones ripped through You've Got Me Rockin and Jumping Jack Flash before beating a quick retreat - perhaps not to upstage their own upcoming Pay-Per-View show.

The Who weaved Sandy into their set, showing pictures of storm devastation on video screens during Pinball Wizard.

Pete Townshend made a quick revision to the lyrics of Baba O'Riley, changing "teenage wasteland" to "Sandy wasteland".

New York native Alicia Keys asked the audience to hold their mobile phones high for her song, No One, triggering a sea of light that is the modern version of an earlier generation's holding cigarette lighters in the air.

"We love you," Keys said, "and we'll make it through this."

She didn't perform Empire State of Mind, however, leaving untouched this century's most indelible song about her hometown.